Volatility Model - Time Series (FX) IRR/EURO

[Triston]

Dear all

I am new to Eviews and Econometrics. Hope kind soul can help me out.

I have a data series which contains 5 years of daily FX Rate (IRR/EURO) from 2007 to 2012. My task is to evaluate if the US sanctions against IRAN signed by Obama had any impact on the volatility of the stated exchange rate after the sanctions was authorised on 20th Nov 2011.

First I did a DLOG to the data series. This made the data stationary. Then i estimated an ARIMA(2,1,1) model and added a dummy variable (D_Santions).
For my dummy variable, I set it to "1" for data points on and after 20th Nov 2011 and "0" everywhere else. I ran the model and EViews returned me a set of results indicating my dummy variable was not significantly different from 0. (Does this mean the sanction has no impact on volatility?) I proceeded to test for ARCH effects and the result shows that the model was ARCH free by looking at the correlogram of squared residuals. Normally I would expect some form of ARCH effects and then fix it by fitting an ARCH(q) or GARCH(p,q) model. But in this case, how should I proceed and be able to get my evalutaion?

Thank you in advance!